The shotgun can be your best friend against normal zombies. When they come
in small numbers or single file, aim and wait until they are almost on you
and fire once for an instant, brain-exploding head shot, or aim straight at
a group to hit a wide spread of targets.
Don't be afraid to run away very fast, especially when you're low on ammo or
when you're facing Nemesis in the earlier parts of the game. Hand-to-hand
combat with the knife against the undead is never a good idea.
The Magnum almost always unleashes an instant-death head shot on zombies,
but the ammo for it is scarce most of the way, so it pays to save it for
later.
Because you get branching choices for certain events, always pay attention
to your environment for clues to how the choices might lead; they inevitably
trigger an FMV sequence that shows Jill escaping in the fashion you
selected. Most of the time, the outcomes are predictable, and usually your
choice doesn't particularly matter to the rest of the game.